XLU Options History — June 2020

In June 2020, XLU traded between $27.57 and $31.38. ATM implied volatility averaged 26.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.0% (HV 20d: 29.0%). Max pain ranged from $29.00 to $30.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2020-06-11: Highest Volume — 270,350 contracts
  • 2020-06-11: Largest IV spike — 33.2% change
  • 2020-06-11: Highest IV Rank — 33.1%
  • 2020-06-11: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.45$27.57$31.38$30.22$28.25
Max Pain$29.77$29.00$30.50$29.25$29.25
ATM IV26.0%21.0%31.6%23.7%23.9%
Expected Move7.4%5.8%8.9%6.8%6.7%
HV 20d29.0%25.3%34.2%29.9%26.0%
HV 60d53.5%36.4%68.5%68.5%36.4%
IV Rank25.0%17.9%33.1%21.7%22.0%
IV Percentile78.0%71.8%85.7%77.0%71.8%
Term Structure0.1%-1.0%0.8%0.0%0.6%
VWIV26.5%21.0%30.7%25.6%24.2%
Skew 25d5.7%3.7%7.1%6.6%5.3%
Skew 10d11.5%6.4%14.9%12.1%12.0%
Call IV 25d24.0%18.7%30.0%20.7%21.9%
Put IV 25d29.7%23.4%36.4%27.4%27.3%
Bid-Ask Spread %10.303.4736.843.845.41
Gamma HHI0.110.060.200.130.08
Net GEX4.2M-47.8M37.2M32.0M13.3M
Net DEX63.5M-800.5M647.7M-382.4M332.6M
Net VEX-4.4M-4.8M-4.1M-4.3M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.355.520.731.05
Total Volume131,177.18243,796270,35048,874164,328
Total OI1,441,206.545984,5381,762,1521,194,1181,421,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$30.22$29.2523.7%6.8%29.9%21.7%25.6%6.6%0.0%32.0M-382.4M-4.3M0.733.8428,28820,586693,762500,356
2020-06-02$30.23$29.2522.7%6.4%29.8%20.4%23.5%5.3%0.3%37.2M-393.3M-4.3M0.663.6238,70625,520710,952519,238
2020-06-03$30.80$29.5022.7%6.2%30.3%20.3%23.9%5.3%0.4%33.3M-600.5M-4.3M0.573.47128,00273,326710,928536,128
2020-06-04$30.00$29.5022.8%6.7%28.6%20.5%25.8%4.9%0.3%29.0M-246.2M-4.5M5.525.6829,766164,182781,522602,294
2020-06-05$30.64$29.5021.4%6.1%29.2%18.4%24.6%5.5%-0.3%22.2M-525.8M-4.5M4.175.7547,526198,250793,168718,376
2020-06-08$31.38$29.5021.0%5.8%29.7%17.9%21.0%3.8%-0.6%11.9M-800.5M-4.2M2.115.2735,21674,414780,016758,894
2020-06-09$30.71$30.5023.2%6.7%31.1%21.0%24.1%3.8%0.3%-17.3M-378.7M-4.7M3.555.5446,498164,876803,568826,760
2020-06-10$30.68$30.5023.8%6.8%30.8%21.9%25.0%3.7%-0.1%-29.1M-376.0M-4.7M2.3717.6917,94442,616832,504865,610
2020-06-11$29.47$30.5031.6%8.9%34.2%33.1%30.5%7.1%-0.3%-38.5M470.4M-4.7M0.9817.65136,444133,906831,450861,736
2020-06-12$29.30$30.0031.5%8.9%34.2%32.9%30.5%6.5%-0.1%-47.8M647.7M-4.8M1.1435.3970,80680,648868,430893,722
2020-06-15$29.44$30.0030.7%8.8%33.3%31.8%29.8%6.7%-1.0%16.8M180.9M-4.7M0.4036.8467,28426,864888,270745,880
2020-06-16$29.64$30.0029.5%8.5%28.2%30.0%29.4%6.2%-0.2%30.3M39.2M-4.7M0.7417.4025,20818,588926,064751,870
2020-06-17$29.52$30.0028.2%8.1%27.2%28.3%27.7%6.3%0.8%30.5M121.9M-4.5M0.3512.3661,72221,784928,436747,458
2020-06-18$29.47$30.0027.0%7.7%27.3%26.5%28.5%6.2%0.3%34.3M203.8M-4.4M0.966.2437,65236,330953,902753,246
2020-06-19$29.05$30.0024.6%7.0%27.6%23.0%23.6%5.7%-0.4%-903.1K473.0M-4.1M0.798.2553,14842,250969,190764,746
2020-06-22$28.79$30.0026.5%7.4%27.8%25.7%26.6%6.9%0.5%-8.1M264.7M-4.2M1.798.0418,56633,248511,102473,436
2020-06-23$28.55$30.0024.4%7.0%27.7%22.8%23.5%4.9%0.7%-15.3M355.7M-4.1M0.894.6950,93845,434517,584491,410
2020-06-24$28.32$30.0026.5%7.6%27.8%25.8%26.7%6.6%0.4%-15.4M424.0M-4.1M0.866.6352,56645,212552,720520,938
2020-06-25$27.86$29.5027.9%8.1%25.7%27.8%29.2%6.1%0.2%-15.0M539.8M-4.1M1.434.79111,400158,768589,478556,546
2020-06-26$27.57$29.0029.8%8.7%25.3%30.5%30.7%5.9%0.5%-12.6M641.7M-4.3M0.937.2376,75871,510681,240699,000
2020-06-29$27.98$29.2528.1%8.0%25.6%28.1%29.8%6.4%0.4%1.3M405.0M-4.4M1.194.7249,78459,036712,110660,634
2020-06-30$28.25$29.2523.9%6.7%26.0%22.0%24.2%5.3%0.6%13.3M332.6M-4.4M1.055.4180,09884,230738,774683,096